Strategic trading and welfare in a dynamic market

Review of Economic Studies

Volumn 66, Issue 2, 1999, Pages 219-254

  Vayanos, Dimitri ^a  

^a MASSACHUSETTS INSTITUTE OF TECHNOLOGY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0039129536     PISSN: 00346527     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-937X.00086     Document Type: Article

References (41)

1. ADMATI, A. (1991), "The Informational Role of Prices: A Review Essay", Journal of Monetary Economics, 28, 347-361.
2. ADMATI, A. and PFLEIDERER, P. (1988), "A Theory of Intraday Patterns: Volume and Price Variability", The Review of Financial Studies, 1, 3-40.
3. AUSUBEL, L. and DENECKERE, R. (1992), "Durable Goods Monopoly with Incomplete Information", Review of Economic Studies, 59, 795-812.
4. BACK, K. and ZENDER, J. (1993), "Auctions of Divisible Goods: On the Rationale for the Treasury Experiment", Review of Financial Studies, 6, 733-764.
5. BERTSIMAS, D. and LO, A. (1998), "Optimal Control of Execution Costs", Journal of Financial Markets, 1, 1-50.
6. BULOW, J. (1982), "Durable Goods Monpolists", Journal of Political Economy, 90, 314-322.
7. CHAN, L. and LAKONISHOK, J. (1993), "Institutional Trades and Intra-Day Stock Price Behavior", Journal of Financial Economics, 33, 173-199.
8. CHAN, L. and LAKONISHOK, J. (1995), "The Behavior of Stock Prices Around Institutional Trades", Journal of Finance, 50, 1147-1174.
9. CHAU, M. (1998), "Dynamic Trading and Market-Making with Inventory Costs and Asymmetric Information" (Mimeo, MIT).
10. CHEVALIER, J. and ELLISON, G. (1998), "Do Mutual Fund Managers Matter? An Empirical Investigation of the Performance, Career Concerns, and Behavior of Fund Managers" (Mimeo, MIT).
11. CHO, I-K. (1990), "Uncertainty and Delay in Bargaining", Review of Economic Studies, 57, 575-596.
12. CRAMTON, P. (1984), "Bargaining with Incomplete Information: An Infinite-Horizon Model with Continuous Uncertainty", Review of Economic Studies, 51, 579-593.
13. DEMARZO, P. and BIZER, D. (1998), "Sequential Trade and the Coase Conjecture: A Time-Consistent Model of Monopoly with Applications to Finance" (Mimeo, University of California, Berkeley).
14. ECONOMIDES, N. and SCHWARTZ, R. (1995), "Electronic Call Market Trading", The Journal of Portfolio Management, 21, 10-18.
15. FUDENBERG, D. and TIROLE, J. (1991) Game Theory (Cambridge, Mass.: MIT Press).
16. GLOSTEN, L. and MILGROM, P. (1985), "Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders", Journal of Financial Economics, 13, 71-100.
17. GOULD, J. and KLEIDON, A. (1994), "Market-Maker Activity on Nasdaq: Implications for Trading Volume", Stanford Journal of Law, Business and Finance, 1, 1-17.
18. GRESIK, T. and SATTERTHWAITE, M. (1989), "The Rate at which a Simple Market Converges to Efficiency as the Number of Traders Increases. An Asymptotic Result for Optimal Trading Mechanisms", Journal of Economic Theory, 48, 304-332.
19. GUL, F., SONNENSCHEIN, H. and WILSON, R. (1986), "Foundations of Dynamic Monopoly and the Coase Conjecture", Journal of Economic Theory, 39, 155-190.
20. HAUSMAN, J., LO, A. and McKINLAY, C. (1992), "An Ordered Probit Analysis of Transaction Stock Prices", Journal of Financial Economics, 31, 319-379.
21. HOLTHAUSEN, R., LEFTWICH, R. and MAYERS, D. (1987), "The Effect of Large Block Transactions on Security Prices: A Cross-Sectional Analysis", Journal of Financial Economics, 19, 237-267.
22. HOLTHAUSEN, R., LEFTWICH, R. and MAYERS, D. (1990), "Large Block Transactions, the Speed of Response and Temporary and Permanent Stock-Price Effects", Journal of Financial Economics, 26, 71-95.
23. KEIM, D. and MADHAVAN, A. (1995), "The Anatomy of the Trading Process", Journal of Financial Economics, 37, 371-398.
24. KEIM, D. and MADHAVAN, A. (1996), "The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects", Review of Financial Studies, 9, 1-36.
25. KEIM, D. and MADHAVAN, A. (1998), "Execution Costs and Investment Performance: An Empirical Analysis of Institutional Equity Trades" (Mimeo, USC).
26. KLEMPERER, P. and MEYER, M. (1989), "Supply Function Equilibria in Oligopoly under Uncertainty", Econometrica, 57, 1243-1277.
27. KRAUS, A. and STOLL, H. (1972), "Price Impacts of Block Trading on the New York Stock Exchange", Journal of Finance, 27, 569-588.
28. KYLE, A. (1985), "Continuous Auctions and Insider Trading", Econometrica, 53, 1315-1336.
29. KYLE, A. (1989), "Informed Speculation and Imperfect Competition", Review of Economic Studies, 56, 517-556.
30. LYONS, R. (1996), "Optimal Transparency in a Dealership Market with an Application to Foreign Exchange", Journal of Financial Intermediation, 5, 225-254.
31. MERTON, R. (1969), "Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case", Review of Economics and Statistics, 51, 247-257.
32. O'HARA, M. (1995) Market Microstructure Theory (Oxford: Blackwell Publishers).
33. REISS, P. and WERNER, I. (1995), "Transaction Costs in Dealer Markets: Evidence from the London Stock Exchange", in A. Lo (ed.) The Industrial Organization and Regulation of the Securities Industry (Chicago, University of Chicago Press).
34. RUSTICHINI, A., SATTERTHWAITE, M. and WILLIAMS, S. (1994), "Convergence to Efficiency in a Simple Market with Incomplete Information", Econometrica, 62, 1041-1063.
35. SATTERTHWAITE, M. and WILLIAMS, S. (1989), "The Rate of Convergence to Efficiency in the Buyer's Bid Double Auction as the Market Becomes Large", Review of Economic Studies, 56, 477-498.
36. SELTEN, R. (1975), "Reexamination of the Perfectness Concept for Equilibrium Points in Extensive Games", International Journal of Game Theory, 4, 25-55.
37. STOKEY, N. (1981), "Rational Expectations and Durable Goods Pricing", Bell Journal of Economics, 12, 112-128.
38. VAYANOS, D. (1998), "Strategic Trading in a Dynamic Noisy Market" (Mimeo, MIT).
39. WANG, J. (1994), "A Model of Competitive Stock Trading Volume", Journal of Political Economy, 102, 127-168.
40. WILSON, R. (1979), "Auctions of Shares", Quarterly Journal of Economics, 93, 675-689.
41. WILSON, R. (1986), "Equilibria in Bid-Ask Markets", in G. Feiwel (ed.) Arrow and the Ascent of Economic Theory: Essays in the Honor of Kenneth J. Arrow (Basingstoke: Macmillan).